TY - JOUR
T1 - Exchange rates and fundamentals
T2 - Evidence from long-horizon regression tests
AU - Chen, Shiu Sheng
AU - Chou, Yu His
PY - 2010/2
Y1 - 2010/2
N2 - This article considers the long-run relationship between nominal exchange rates and fundamentals from a different perspective. We apply a long-horizon regression approach proposed by Fisher and Seater (1993) and find evidence supporting the explanatory power of exchange rate models. In particular, the Taylor-rule model outperforms other conventional models. We then use the inverse power function (IPF) proposed by Andrews (1989) to investigate the power of the Fisher-Seater test. The IPF analysis provides additional evidence supporting exchange rate models.
AB - This article considers the long-run relationship between nominal exchange rates and fundamentals from a different perspective. We apply a long-horizon regression approach proposed by Fisher and Seater (1993) and find evidence supporting the explanatory power of exchange rate models. In particular, the Taylor-rule model outperforms other conventional models. We then use the inverse power function (IPF) proposed by Andrews (1989) to investigate the power of the Fisher-Seater test. The IPF analysis provides additional evidence supporting exchange rate models.
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U2 - 10.1111/j.1468-0084.2009.00571.x
DO - 10.1111/j.1468-0084.2009.00571.x
M3 - Article
AN - SCOPUS:72949103686
SN - 0305-9049
VL - 72
SP - 63
EP - 88
JO - Oxford Bulletin of Economics and Statistics
JF - Oxford Bulletin of Economics and Statistics
IS - 1
ER -